Poisson approximation of intermediate empirical processes

1992 ◽  
Vol 29 (04) ◽  
pp. 825-837
Author(s):  
E. Kaufmann ◽  
R.-D. Reiss

We investigate the asymptotic behaviour of empirical processes truncated outside an interval about the (1 – s(n)/n)-quantile where s(n) → ∞ and s(n)/n → 0 as the sample size n tends to ∞. It is shown that extreme value (Poisson) processes and, alternatively, the homogeneous Poisson process may serve as approximations if certain von Mises conditions hold.

1992 ◽  
Vol 29 (4) ◽  
pp. 825-837 ◽  
Author(s):  
E. Kaufmann ◽  
R.-D. Reiss

We investigate the asymptotic behaviour of empirical processes truncated outside an interval about the (1 – s(n)/n)-quantile where s(n) → ∞ and s(n)/n → 0 as the sample size n tends to ∞. It is shown that extreme value (Poisson) processes and, alternatively, the homogeneous Poisson process may serve as approximations if certain von Mises conditions hold.


1986 ◽  
Vol 23 (01) ◽  
pp. 221-226 ◽  
Author(s):  
Norbert Henze

In a homogeneous Poisson process in R d , consider an arbitrary point X and let Y be its kth nearest neighbour. Denote by Rk the rank of X in the proximity order defined by Y, i.e., Rk = j if X is the jth nearest neighbour to Y. A representation for Rk in terms of a sum of independent random variables is obtained, and the limiting distribution of Rk, as k →∞, is shown to be normal. This result generalizes to mixtures of Poisson processes.


2004 ◽  
Vol 36 (2) ◽  
pp. 455-470 ◽  
Author(s):  
Jean-Bernard Gravereaux ◽  
James Ledoux

In this paper, we consider a failure point process related to the Markovian arrival process defined by Neuts. We show that it converges in distribution to a homogeneous Poisson process. This convergence takes place in the context of rare occurrences of failures. We also provide a convergence rate of the convergence in total variation of this point process using an approach developed by Kabanov, Liptser and Shiryaev for the doubly stochastic Poisson process driven by a finite Markov process.


2004 ◽  
Vol 36 (02) ◽  
pp. 455-470
Author(s):  
Jean-Bernard Gravereaux ◽  
James Ledoux

In this paper, we consider a failure point process related to the Markovian arrival process defined by Neuts. We show that it converges in distribution to a homogeneous Poisson process. This convergence takes place in the context of rare occurrences of failures. We also provide a convergence rate of the convergence in total variation of this point process using an approach developed by Kabanov, Liptser and Shiryaev for the doubly stochastic Poisson process driven by a finite Markov process.


2011 ◽  
Vol 11 (10) ◽  
pp. 2741-2753 ◽  
Author(s):  
R. Sobradelo ◽  
J. Martí ◽  
A. T. Mendoza-Rosas ◽  
G. Gómez

Abstract. The Canary Islands are an active volcanic region densely populated and visited by several millions of tourists every year. Nearly twenty eruptions have been reported through written chronicles in the last 600 yr, suggesting that the probability of a new eruption in the near future is far from zero. This shows the importance of assessing and monitoring the volcanic hazard of the region in order to reduce and manage its potential volcanic risk, and ultimately contribute to the design of appropriate preparedness plans. Hence, the probabilistic analysis of the volcanic eruption time series for the Canary Islands is an essential step for the assessment of volcanic hazard and risk in the area. Such a series describes complex processes involving different types of eruptions over different time scales. Here we propose a statistical method for calculating the probabilities of future eruptions which is most appropriate given the nature of the documented historical eruptive data. We first characterize the eruptions by their magnitudes, and then carry out a preliminary analysis of the data to establish the requirements for the statistical method. Past studies in eruptive time series used conventional statistics and treated the series as an homogeneous process. In this paper, we will use a method that accounts for the time-dependence of the series and includes rare or extreme events, in the form of few data of large eruptions, since these data require special methods of analysis. Hence, we will use a statistical method from extreme value theory. In particular, we will apply a non-homogeneous Poisson process to the historical eruptive data of the Canary Islands to estimate the probability of having at least one volcanic event of a magnitude greater than one in the upcoming years. This is done in three steps: First, we analyze the historical eruptive series to assess independence and homogeneity of the process. Second, we perform a Weibull analysis of the distribution of repose time between successive eruptions. Third, we analyze the non-homogeneous Poisson process with a generalized Pareto distribution as the intensity function.


1969 ◽  
Vol 6 (02) ◽  
pp. 453-458 ◽  
Author(s):  
Mark Brown

In this paper we shall investigate point processes generated by random variables of the form 〈gi (Ti ]), i=± 1, ± 2, … 〉, where 〈Ti, i= ± 1, … 〉 is the set of arrival times from a (not necessarily homogeneous) Poisson process or mixture of Poisson processes, and 〈gi, i = ± 1, … 〉 is an independently and identically distributed (i.i.d.) or interchangeable sequence of random functions, independent of 〈Ti 〉.


1978 ◽  
Vol 15 (3) ◽  
pp. 552-559 ◽  
Author(s):  
Donald P. Gaver ◽  
Patricia A. Jacobs

A study is made of the extremal process generated by i.i.d. random variables appearing at the events of a non-homogeneous Poisson process, 𝒫. If 𝒫 has an exponentially increasing rate function, then records eventually occur in a homogeneous Poisson process. The size of the latest record has a classical extreme value distribution.


1978 ◽  
Vol 15 (03) ◽  
pp. 552-559 ◽  
Author(s):  
Donald P. Gaver ◽  
Patricia A. Jacobs

A study is made of the extremal process generated by i.i.d. random variables appearing at the events of a non-homogeneous Poisson process, 𝒫. If 𝒫 has an exponentially increasing rate function, then records eventually occur in a homogeneous Poisson process. The size of the latest record has a classical extreme value distribution.


1986 ◽  
Vol 23 (1) ◽  
pp. 221-226 ◽  
Author(s):  
Norbert Henze

In a homogeneous Poisson process in Rd, consider an arbitrary point X and let Y be its kth nearest neighbour. Denote by Rk the rank of X in the proximity order defined by Y, i.e., Rk = j if X is the jth nearest neighbour to Y. A representation for Rk in terms of a sum of independent random variables is obtained, and the limiting distribution of Rk, as k →∞, is shown to be normal. This result generalizes to mixtures of Poisson processes.


1969 ◽  
Vol 6 (2) ◽  
pp. 453-458 ◽  
Author(s):  
Mark Brown

In this paper we shall investigate point processes generated by random variables of the form 〈gi(Ti]), i=± 1, ± 2, … 〉, where 〈Ti, i= ± 1, … 〉 is the set of arrival times from a (not necessarily homogeneous) Poisson process or mixture of Poisson processes, and 〈gi, i = ± 1, … 〉 is an independently and identically distributed (i.i.d.) or interchangeable sequence of random functions, independent of 〈Ti〉.


Sign in / Sign up

Export Citation Format

Share Document